Anomalies in Chinese A-Shares

Rayliant’s research team, led by Dr. Jason Hsu, applied well-studied factor strategies from the U.S. equity anomalies literature to Chinese A-shares, demonstrating which factors have worked and which have not over the last two decades since the opening of China’s stock markets. While a number of traditional factors such as value and size appear to work well in China, other factors are less effective, including A-shares momentum which actually works in the opposite direction!